Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0001
Annualized Std Dev 0.0716
Annualized Sharpe (Rf=0%) 0.0014

Row

Daily Return Statistics

Close
Observations 2992.0000
NAs 1.0000
Minimum -0.1166
Quartile 1 -0.0014
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0015
Maximum 0.1266
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0045
Skewness 1.8335
Kurtosis 368.3297

Downside Risk

Close
Semi Deviation 0.0031
Gain Deviation 0.0041
Loss Deviation 0.0040
Downside Deviation (MAR=210%) 0.0091
Downside Deviation (Rf=0%) 0.0031
Downside Deviation (0%) 0.0031
Maximum Drawdown 0.1711
Historical VaR (95%) -0.0042
Historical ES (95%) -0.0078
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2011-09-15 2020-03-12 NA -0.1711 2365 2107 NA
2009-11-06 2010-01-04 2011-08-11 -0.0656 434 39 395
2009-09-14 2009-09-22 2009-11-05 -0.0495 37 7 30
2009-05-19 2009-06-24 2009-09-11 -0.0463 69 18 51
2009-04-13 2009-05-01 2009-05-18 -0.0244 24 14 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -0.9 0.9 -0.3 -1.7 -0.5 0.4 -0.4 -0.2 0.3 0.1 -0.4 -0.3 -3
2010 -0.6 -0.2 -0.4 0.3 0.4 -0.1 0.2 -0.3 -0.1 0.1 -1 -0.7 -2.4
2011 -0.3 0.1 -0.4 0.1 0.2 -0.3 -0.1 0.2 0.1 0.3 -0.1 -0.1 -0.2
2012 -0.1 -0.2 -0.3 0.1 0.1 0.2 -0.1 0.1 0 -0.3 -0.1 -0.1 -0.6
2013 0.1 0.1 0.1 -0.1 -0.1 0 -0.2 0.3 -0.2 -0.3 -0.1 -0.2 -0.6
2014 0.1 0.1 -0.6 -0.1 -0.1 -0.3 -0.1 0.3 0.6 0 -0.5 0 -0.6
2015 0.2 0.2 -0.1 -0.4 -0.4 -0.1 0.3 0 0 0.4 0 0.4 0.7
2016 -0.2 -0.5 -0.4 0.1 -0.3 -0.3 -0.3 -0.4 -0.4 0.2 -0.5 0.1 -2.8
2017 -0.3 -0.8 0.1 -0.3 -0.4 -0.2 -0.2 -0.3 0 -0.1 -0.1 0 -2.4
2018 -0.4 0 0.4 -0.1 -0.6 -0.2 -0.5 0 -0.4 -0.2 0 0.2 -1.8
2019 -0.6 -0.4 -0.7 -0.3 0.2 -0.4 -0.3 0.2 -0.4 -0.3 -0.1 -0.2 -3.2
2020 0.5 0.4 -0.3 -0.6 -0.3 -0.3 0 -0.3 -0.3 0 -0.4 0 -1.5
2021 -0.3 0 0 NA NA NA NA NA NA NA NA NA -0.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-01-27  25.9 SPY    84.5  0.0102  0.0491   -0.0246  -0.0288   -0.375   -0.333   -0.270 GLD    88.4 -0.0064  0.0457 
2 2009-01-28  26.0 SPY    87.4  0.0338  0.0397    0.0026   0.041    -0.357   -0.314   -0.238 GLD    87.4 -0.0109  0.0388 
3 2009-01-29  26.1 SPY    84.6 -0.0325  0.0218   -0.0272  -0.0982   -0.373   -0.342   -0.254 GLD    89.5  0.0239  0.0582 
4 2009-01-30  25.8 SPY    82.8 -0.0203 -0.0034   -0.069   -0.110    -0.397   -0.355   -0.270 GLD    91.3  0.0202  0.0314 
5 2009-02-02  26.0 SPY    82.6 -0.003  -0.0131   -0.0849  -0.142    -0.408   -0.352   -0.272 GLD    88.8 -0.0271 -0.00120
6 2009-02-03  26   SPY    83.7  0.014  -0.00930  -0.0992  -0.135    -0.392   -0.348   -0.265 GLD    88.5 -0.0042  0.001  
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart